My chosen character being Squall Leo-
"HA! HE PROBABLY LISTENS TO MY CHEMCIAL ROMANCE AND TAKING BACK SUN- (*stab*)"
Leonheart would probably listen to really dark stuff. I take him for Industrial metal, Nevermore, (basically any metal that ruminates on personal suffering or general philosophical problems in life, as opposed to the stanic/gore stuff) and dark New Wave stuff like Tears for Fears and Depeche Mode. He probably digs modern classical music as well as the romantic period.
He's also probably got a good appreciation for postmodern music as well.